I don't think what you are saying makes sense. 1. I don't think brokers adjusted for possible dislocations on the yield curve to calculate mark prices, as said perceived dislocations are (a) highly subjective and (b) they reflect the real supply and demand for securities, which be definition controls the mark or market price. 2. The fair futures price (and/or mark or market price) is not the fair, mark, or market price of the underlying. 3. The above discussion was about options, not futures.
1. If you are going through an IB/FCM and don't have DMA, I can't speak to what your broker is doing. I would not ever go through a company that doesn't guarantee DMA. 2. The fair futures price is the SIA standardized price of the underlying divided by the FIA standardized conversion factor. 3. IR futures are a type of option.